Supernatural. It's all-around amazing and they have a sweet soundtrack. So much classic rock.
Buffy and Angel - I'm working through right now. It's a little campy than I remember. Also, a bit more perverted.
Charmed - finished - and that's pretty great too.
Walking Dead is nice, though, I'm only following what they post on Netflix.
American Horror Story - started that as well, pretty good.

Well.. I wouldn't call them horror shows but if I had to pick one it would be The Walking Dead. I love TWD!! The only real horror show I know of would be American Horror Story, and I don't really like that one. I also love Teen Wolf, and I used to love Buffy the vampire slayer and True Blood, haha!